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Comparing stage-scenario with nodal formulation for multistage stochastic problems

Identifikátory výsledku

  • Kód výsledku v IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10438227" target="_blank" >RIV/00216208:11320/21:10438227 - isvavai.cz</a>

  • Výsledek na webu

    <a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=7yS.k9dRXQ" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=7yS.k9dRXQ</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1007/s10288-020-00462-x" target="_blank" >10.1007/s10288-020-00462-x</a>

Alternativní jazyky

  • Jazyk výsledku

    angličtina

  • Název v původním jazyce

    Comparing stage-scenario with nodal formulation for multistage stochastic problems

  • Popis výsledku v původním jazyce

    To solve real life problems under uncertainty in Economics, Finance, Energy, Transportation and Logistics, the use of stochastic optimization is widely accepted and appreciated. However, the nature of stochastic programming leads to a conflict between adaptability to reality and tractability. To formulate a multistage stochastic model, two types of formulations are typically adopted: the so-called stage-scenario formulation named also formulation with explicit non-anticipativity constraints and the so-called nodal formulation named also formulation with implicit non-anticipativity constraints. Both of them have advantages and disadvantages. This work aims at helping the scholars and practitioners to understand the two types of notation and, in particular, to reformulate with the nodal formulation a model that was originally defined with the stage-scenario formulation presenting this implementation in the algebraic language GAMS. In addition, this work presents an empirical analysis applying the two formulations both without any further decomposition to perform a fair comparison. In this way, we show that the difficulties to implement the model with the nodal formulation are somehow reworded making the problem tractable without any decomposition algorithm. Still, we remark that in some other applications the stage-scenario formulation could be more helpful to understand the structure of the problem since it allows to relax the non-anticipativity constraints.

  • Název v anglickém jazyce

    Comparing stage-scenario with nodal formulation for multistage stochastic problems

  • Popis výsledku anglicky

    To solve real life problems under uncertainty in Economics, Finance, Energy, Transportation and Logistics, the use of stochastic optimization is widely accepted and appreciated. However, the nature of stochastic programming leads to a conflict between adaptability to reality and tractability. To formulate a multistage stochastic model, two types of formulations are typically adopted: the so-called stage-scenario formulation named also formulation with explicit non-anticipativity constraints and the so-called nodal formulation named also formulation with implicit non-anticipativity constraints. Both of them have advantages and disadvantages. This work aims at helping the scholars and practitioners to understand the two types of notation and, in particular, to reformulate with the nodal formulation a model that was originally defined with the stage-scenario formulation presenting this implementation in the algebraic language GAMS. In addition, this work presents an empirical analysis applying the two formulations both without any further decomposition to perform a fair comparison. In this way, we show that the difficulties to implement the model with the nodal formulation are somehow reworded making the problem tractable without any decomposition algorithm. Still, we remark that in some other applications the stage-scenario formulation could be more helpful to understand the structure of the problem since it allows to relax the non-anticipativity constraints.

Klasifikace

  • Druh

    J<sub>imp</sub> - Článek v periodiku v databázi Web of Science

  • CEP obor

  • OECD FORD obor

    10103 - Statistics and probability

Návaznosti výsledku

  • Projekt

    <a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

  • Návaznosti

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Ostatní

  • Rok uplatnění

    2021

  • Kód důvěrnosti údajů

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Údaje specifické pro druh výsledku

  • Název periodika

    4OR

  • ISSN

    1619-4500

  • e-ISSN

  • Svazek periodika

    19

  • Číslo periodika v rámci svazku

    4

  • Stát vydavatele periodika

    DE - Spolková republika Německo

  • Počet stran výsledku

    19

  • Strana od-do

    613-631

  • Kód UT WoS článku

    000585686400001

  • EID výsledku v databázi Scopus

    2-s2.0-85094674121